Probably my favourite is the Balrog from Tolkien mythology (yes I count it as equal to other mythologies). Balrogs are simply epic But I pretty much like every mythical/nonmythical beast/cryptid/weird animal.
Some guys who are pretty sympathetic to me are Korrigans (="small dwarf", mischievous fellows of the breton folklore. They are depicted as either gnome-like, or in their human form as of beautiful with long hair and red eyes. They dance around in the night, give challenges to people who are attracted to them, and kill those who fail. For some they also depict the resistance against christianization and as such get attributed traits like hate for priests, churches and especially the Virgin Mary.
Another mythical creature I like is Nidhoggr, the dragon/serpent gnawing at the roots of Yggdrasil, the world tree. His name apparently means 'Malice Striker', he is also often called corpse eater. Nidhoggr is predestined to gnaw through the whole root at Ragnarok. I like the symbolism he wears, because he sounds like a bad fellow but without him the world actually couldn't exist. He has a similar role to our Death, though there are many differences. His part in the balance is the withering, if you want.
Nymphs, aa-maend, Nykken, nisser, hel-horses... Not to talk about godly or semigodly beings like Sleipnir, Fenrir and Gam. Hippocampi, unicorns, kelpie and pegasi.
Sphinxes, basilisks, ogres, sasquatch, cyclops, manticore, chimera, merfolk, not to mention Mephistopheles, Beelzebub, Lucifer, etc.
Now that you mention it... there has been no mention of orcs, goblins, gnomes, imps and trolls either. And what about real animals who are holders of mythical powers? The raven comes to mind, for example.
Well, different cultures have different interpretations of raven.. we often look at them as bad luck birds and messengers of death. The celtic Morrigan ("goddess" of battle, strife and fertility) often showed herself as raven (or as three ravens since Morrigan is a split personality including Morrigna, Macha and Bodbh). And the raven even plays a role, as far as I remember, in creation myths of native americans (correct me if I'm wrong).
Ever heard of the Bolla? Well, basically they are dragons, but a little more... simple. They are more serpent like and need 12 years to develop their fire breathing abilities, and then aren't called Bollas anymore... they're called Kulshedra... or something the other like that. And they sleep the entire year and wake on St. George's Day, eat some poor lad, and fall back to sleep! Then there is something like droughts and sacrifices, blah, blah. Pretty cool I think. But I don't believe in them. But I would LOVE to own one! (If it didn't sleep all year.)